My favorite one is Sega Rally. I've never played any racing game with a game play so perfect like Sega Rally for Sega Saturn, the controls are amazing, the balance is perfect. The only bad thing about this game is that the game is very short.

Hmmm this is a tough one, there are so many amazing Saturn games! The Panzer Dragoon series have always had a special place in my heart, burning rangers was amazing, Nights, Sega Rally, The Daytona releases, Sonic R (Yes laugh) and so many other amazing games!